to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we … study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy …

to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we … study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …

An investor faced with a contingent claim may eliminate risk by (super-) hedging in a financial market. As this is …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at … to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we … study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging …

This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump … determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … derive explicit formulas for this so-called efficient or quantile hedging strategy for a European call option. We then …

This paper deals with the superhedging of derivatives on incomplete markets, i.e. with portfolio strategies which … the analysis to static strategies. There is no such thing as the incomplete market when it comes to superhedging. Although …

This paper analyzes tractable robust hedging strategies in diffusion-type models including stochastic volatility models …. A robust hedging strategy avoids any losses as long as volatility stays within a given interval. It does not depend on … tractable hedging strategy is defined as the sum over Black-Scholes strategies. For a convex (concave) payoff, the cheapest …